Exploiting the Dividend Month Premium: Evidence from Germany

Journal of Asset Management 2021, 22, 253-266.

2 Pages Posted: 20 Feb 2020 Last revised: 16 Jun 2021

See all articles by Felix Kreidl

Felix Kreidl

Friedrich-Alexander-Universität Erlangen-Nürnberg

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg

Date Written: July 30, 2020


Dividend payments are firm events on a recurring and predictable basis. High returns in the period between announcement-date and ex-dividend date are the main driver for the so-called dividend month premium, which are positive abnormal returns in months in which corporations are predicted to issue dividend payments. In our empirical analysis of the German stock market, we find a robust dividend month premium with especially strong post-announcement drifts for stocks with positive dividend surprise. Knowing the date of dividend payments enables portfolio managers to exploit the dividend month premium. Also taking into account tracking error and transaction costs, we show that simple portfolio-enhancing strategies lead to highly significant abnormal returns.

Keywords: Dividends, Dividend month premium, Dividend surprise, Cumulative abnormal returns, Outperformance, Exploitation, Portfolio management

JEL Classification: G11, G12, G14, G35

Suggested Citation

Kreidl, Felix and Scholz, Hendrik, Exploiting the Dividend Month Premium: Evidence from Germany (July 30, 2020). Journal of Asset Management 2021, 22, 253-266., Available at SSRN: https://ssrn.com/abstract=3524849 or http://dx.doi.org/10.2139/ssrn.3524849

Felix Kreidl (Contact Author)

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Lange Gasse 20,

Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg ( email )

Lange Gasse 20
Lange Gasse 20,
Nürnberg, 90403

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